It wouldn't be worth the trouble--I think pellets are smoother and denser, and the board bits would probably burn up too quickly to be very efficient besides jamming the auger. Pea coal doesn't work either, totally rusts out pellet/corn stoves.
Not something I would even consider doing as your pellet burning stove is created and designed to burn commercially prepared pellets and the money you think you are saving on pellets will mean nothing if you have a house fire or wreck your stove.
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